|
PureBytes Links
Trading Reference Links
|
Jeff:
Are you optimizing over all available securiy data, or
are you using a limited historical time period?
Please keep posting your work. I would like to see
how your optimized variables do as a forward test,on
the securities you've selected.
Thanks.
--- Jeff <jcob3@xxxxxxxxxxx> wrote:
> Michael:
>
> You do not say in your post what you tested the
> system on or what the return
> generated was. My purpose in making my posts has
> been to generate
> discussion of a system that I have been successful
> in using. It may be that
> some individuals are not psychologically suited to
> trade this system.
>
> The system is a trend follower that appears to get
> you in at the early in a
> trend. If the trend breaks down for any reason, the
> system seems to take
> you out with relatively little pain, and there is a
> relatively high
> percentage of losing trades (usually around 50%).
> Therefore, the system
> seems to perform best on issues that are prone to
> make prolonged moves. The
> trick is to find those issues. I do admit that the
> system is not perfect;
> for instance, it is my belief that the exit could be
> improved on winners to
> preserve more profit. However, I've been unable to
> develop an alternative
> exit that improves the system return.
>
> I've posted the results of this system that have
> been generated over the
> past two months and believe they speak for
> themselves. The results
> should've, at least, been interesting enough to
> generate a little more
> discussion than they have up until now. I've been
> trading this system
> myself for about a year and have had good results.
> Even in the
> April-September period when everything seemed to
> stall and move sideways, I
> was, at least able to hold my own and maintain my
> capital until the October
> break-aways started to occur. For awhile, until I
> got bored with it, I
> phantom traded this system in the Yahoo Investment
> Challenge. I typically
> made about 20% a month using the system in that
> venue.
>
> At any rate, I take it from your comments that you
> are not thrilled with the
> system. That's OK. If the general feeling of the
> group is such that they
> would rather not see my posts, that's OK too. Just
> let me know and I'll
> quietly crawl back into my hole. But in case you,
> or anyone else is
> interested, the following is the system as I use it.
>
> Buy
>
> n :=opt2{Time periods};
>
> BullFear := (HHV(HIGH,n) - LLV(HIGH,n))/2 +
> LLV(HIGH,n);
>
> Cross(CLOSE,bullfear) AND
> DX(10) > opt1
>
> Sell
>
> n :=opt2{Time periods};
>
> BearFear := (HHV(LOW,n) - LLV(LOW,n))/2 +
> LLV(LOW,n);
>
> CLOSE < bearfear
>
> Optimize the time periods from 10 to 50 in
> increments of 1 while testing the
> DX from 5 to 30 in increments of 5 (you can do it in
> increments of 1 but it
> takes longer). Once the Optimal time period is
> determined in this manner,
> then retest with the determined optimal time period
> and the DX in increments
> of 1. Note that this system is intended to be a
> stop and reverse system and
> you can use it to go short as well if you'd like to.
>
> Well, that's about all I have to say on the subject.
>
> Good trading
> Jeff
>
> -----Original Message-----
> From: michael arnoldi <marnoldi@xxxxxxxxxxxxx>
> To: A METASTOCK GROUP <metastock@xxxxxxxxxxxxx>
> Date: Saturday, November 27, 1999 12:50 PM
> Subject: bull/bear fear- tested
>
>
> >i hope that the formula is wrong, this is what i
> used, and did a test
> >using opt1 instead of n:
> >BUY
> >BullFear := (HHV(HIGH,opt1) - LLV(HIGH,opt1))/2 +
> LLV(HIGH,opt1);
> >Cross(CLOSE,BullFear)
> >
> >SELL
> >BearFear := (HHV(LOW,opt1) - LLV(LOW,opt1))/2 +
> LLV(LOW,opt1);
> >Cross(BearFear,CLOSE)
> >
> >opt1=10 to 30 with 1 point increments
> >
> >result 7 trades with 11 losses.
> >
> >not a system i would use.
> >comments are welcome.
> >
> >mike arnoldi
>
>
__________________________________________________
Do You Yahoo!?
Thousands of Stores. Millions of Products. All in one place.
Yahoo! Shopping: http://shopping.yahoo.com
|